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Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

Persistent link: https://www.econbiz.de/10009578026

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...

Persistent link: https://www.econbiz.de/10009579181

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering … prices. Having identified subperiods of homogeneous volatility dynamics we concentrate on stylized facts to distinguish these … volatility regimes. The bottom level of estimated volatility turns out be considerably higher during the second part of the …

Persistent link: https://www.econbiz.de/10009616784

Multivariate volatility models

Fengler, Matthias R.; Herwartz, Helmut - 2001

Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on …

Persistent link: https://www.econbiz.de/10009615423

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …

Persistent link: https://www.econbiz.de/10009582392

On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven

Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918978

Malliavin's calculus in insider models : additional utility and free lunches

Imkeller, Peter - 2002

We consider simple models of financial markets with regular traders and insiders possessing some extra information hidden in a random variable which is accessible to the regular trader only at the end of the trading interval. The problems we focus on are the calculation of the additional utility...

Persistent link: https://www.econbiz.de/10009620768

Quantifying the value of initial investment information

Amendinger, Jürgen; Becherer, Dirk; Schweizer, Martin - 2000

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information G.. The subjective fair value of this information for the investor is...

Persistent link: https://www.econbiz.de/10009583881

Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate

Gil-Alaña, Luis A. - 2001

We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to...

Persistent link: https://www.econbiz.de/10009615430

Sticky information vs. sticky prices : a horse race in a DSGE framework

Trabandt, Mathias (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001916974